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Short selling and the pricing of PIN information risk 卖空与 PIN 信息风险定价
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-07-29 DOI: 10.1016/j.finmar.2024.100931
Chen Chen, Qiqi Liang, Chris Stivers, Licheng Sun
{"title":"Short selling and the pricing of PIN information risk","authors":"Chen Chen, Qiqi Liang, Chris Stivers, Licheng Sun","doi":"10.1016/j.finmar.2024.100931","DOIUrl":"https://doi.org/10.1016/j.finmar.2024.100931","url":null,"abstract":"We present evidence that the pricing of the probability of informed trading (PIN) information risk varies substantially with stocks’ short selling environment. For lightly shorted stocks, their risk-adjusted returns (alphas) increase reliably with both the good news (PIN_G) and bad news (PIN_B) components of their PIN. The positive PIN-alpha relations decline and then disappear as stocks’ shorting activity increases. Our findings are consistently evident with shorting-interest, shorting-flow, and the probability of informed shorting, and are more prominent for smaller-cap stocks. Our findings support theories where asymmetric information with imperfectly competitive markets can impact stocks’ cost of equity.","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":null,"pages":null},"PeriodicalIF":2.8,"publicationDate":"2024-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141930798","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Asymmetry and the Cross-section of Option Returns* 不对称与期权收益截面*
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-07-01 DOI: 10.1016/j.finmar.2024.100932
Jianqiu Wang, Wu Ke, Yang Sijie, Zhou Dexin
{"title":"Asymmetry and the Cross-section of Option Returns*","authors":"Jianqiu Wang, Wu Ke, Yang Sijie, Zhou Dexin","doi":"10.1016/j.finmar.2024.100932","DOIUrl":"https://doi.org/10.1016/j.finmar.2024.100932","url":null,"abstract":"","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2024-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141850545","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Robinhood, Reddit, and the news: The impact of traditional and social media on retail investor trading Robinhood、Reddit 和新闻：传统媒体和社交媒体对散户投资者交易的影响
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-07-01 DOI: 10.1016/j.finmar.2024.100929
Markus Munster, Felix Reichenbach, Martin Walther
{"title":"Robinhood, Reddit, and the news: The impact of traditional and social media on retail investor trading","authors":"Markus Munster, Felix Reichenbach, Martin Walther","doi":"10.1016/j.finmar.2024.100929","DOIUrl":"https://doi.org/10.1016/j.finmar.2024.100929","url":null,"abstract":"","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2024-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141706653","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
December doldrums, investor distraction, and the stock market reaction to unscheduled news events 十二月低迷、投资者分心以及股市对计划外新闻事件的反应
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-06-18 DOI: 10.1016/j.finmar.2024.100928
Sudheer Chava, Nikhil Paradkar
{"title":"December doldrums, investor distraction, and the stock market reaction to unscheduled news events","authors":"Sudheer Chava, Nikhil Paradkar","doi":"10.1016/j.finmar.2024.100928","DOIUrl":"https://doi.org/10.1016/j.finmar.2024.100928","url":null,"abstract":"We examine how investor distraction during the December holiday season impacts the stock market’s reaction to salient firm-specific news. We find that both retail and institutional investor attention is significantly lower in December. Importantly, only unscheduled credit rating downgrades and 8-K filings experience lower investor attention in December; we find no equivalent effect for pre-scheduled earnings announcements. Consistently, we document significantly weaker market responses in December toward unscheduled firm news only. Firm prominence mitigates this December distraction effect. Our results highlight how investor distraction in December can lead to a muted market reaction to unscheduled, but salient, firm-specific news.","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":null,"pages":null},"PeriodicalIF":2.8,"publicationDate":"2024-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141501048","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Strategic trading as a response to short sellers 战略交易作为对卖空者的回应
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-04-22 DOI: 10.1016/j.finmar.2024.100911
Marco Di Maggio , Francesco Franzoni , Massimo Massa , Roberto Tubaldi
{"title":"Strategic trading as a response to short sellers","authors":"Marco Di Maggio ,&nbsp;Francesco Franzoni ,&nbsp;Massimo Massa ,&nbsp;Roberto Tubaldi","doi":"10.1016/j.finmar.2024.100911","DOIUrl":"10.1016/j.finmar.2024.100911","url":null,"abstract":"<div><p>We examine whether the strategic response to short selling by other informed investors decelerates the incorporation of positive information. We find a sizeable reduction of positive information impounding before earnings announcements for stocks more exposed to short selling. Consistent with strategic behavior, we find that investors with positive views slow down their trades when short sellers are also present. Furthermore, they break up their buy trades across multiple brokers, suggesting they wish to prevent a price impact. Thus, the strategic reaction to short selling appears to have implications for information impounding before public information releases.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":null,"pages":null},"PeriodicalIF":2.8,"publicationDate":"2024-04-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141059189","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Algorithmic trading and market efficiency around the introduction of the NYSE Hybrid Market 纽约证券交易所混合市场推出前后的算法交易和市场效率
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-04-09 DOI: 10.1016/j.finmar.2024.100909
Darya Yuferova
{"title":"Algorithmic trading and market efficiency around the introduction of the NYSE Hybrid Market","authors":"Darya Yuferova","doi":"10.1016/j.finmar.2024.100909","DOIUrl":"10.1016/j.finmar.2024.100909","url":null,"abstract":"<div><p>I study the effect of algorithmic trading on market efficiency, taking into account past market and limit order flows alike. I find that an exogenous increase in algorithmic trading around the introduction of the NYSE Hybrid Market leads to a significant decrease in the predictive power of surprises in market order imbalance and limit order book imbalances, especially at the outer levels of the limit order book. However, the predictive power of past returns remains largely unchanged. This suggests that algorithmic trading improves market efficiency by facilitating the incorporation of information embedded in both market and limit order flows.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":null,"pages":null},"PeriodicalIF":2.8,"publicationDate":"2024-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1386418124000272/pdfft?md5=9a23e0c2025935fdfe0b5d03b5223c13&pid=1-s2.0-S1386418124000272-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140757229","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Fundamental characteristics, machine learning, and stock price crash risk 基本特征、机器学习和股价暴跌风险
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-04-05 DOI: 10.1016/j.finmar.2024.100908
Fuwei Jiang , Tian Ma , Feifei Zhu
{"title":"Fundamental characteristics, machine learning, and stock price crash risk","authors":"Fuwei Jiang ,&nbsp;Tian Ma ,&nbsp;Feifei Zhu","doi":"10.1016/j.finmar.2024.100908","DOIUrl":"10.1016/j.finmar.2024.100908","url":null,"abstract":"<div><p>We investigate the application of machine learning algorithms for predicting stock price crash risks by employing a set of firm-specific characteristics of the Chinese stock market. The results suggest that machine learning techniques are superior in capturing the nuances of stock price crash risk, particularly through profitability and value versus growth features. These techniques perform well within state-owned enterprises and during periods of low economic policy uncertainty, and predictive insights primarily originate from intra-industry dynamics. In addition, we offer corporate finance- and financial market-based interpretations of machine learning's predictability, as well as a comprehensive understanding of its key determinants.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":null,"pages":null},"PeriodicalIF":2.8,"publicationDate":"2024-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140765385","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Leveraged trading and stock returns: Evidence from international stock markets 杠杆交易与股票回报：国际股票市场的证据
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-03-28 DOI: 10.1016/j.finmar.2024.100907
Zhuo Chen , Pengfei Li , Zhengwei Wang , Bohui Zhang
{"title":"Leveraged trading and stock returns: Evidence from international stock markets","authors":"Zhuo Chen ,&nbsp;Pengfei Li ,&nbsp;Zhengwei Wang ,&nbsp;Bohui Zhang","doi":"10.1016/j.finmar.2024.100907","DOIUrl":"10.1016/j.finmar.2024.100907","url":null,"abstract":"<div><p>Are margin traders as well-informed as short sellers when it comes to leveraged investing? Our paper, utilizing a unique dataset on stock-level short selling and margin trading from three international stock markets, reveals that while short selling has cross-sectional return predictability, margin trading does not. In comparison to short selling, margin-trading activities demonstrate a stronger correlation across stocks and weakly predict firm fundamentals. This suggests that margin traders are less likely to possess a firm-specific information advantage. Our findings at the investor account level also indicate that margin traders are less sophisticated than short sellers.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":null,"pages":null},"PeriodicalIF":2.8,"publicationDate":"2024-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140408037","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The price effect of temporary short-selling bans: Theory and evidence 临时卖空禁令的价格效应：理论与证据
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-03-11 DOI: 10.1016/j.finmar.2024.100890
Haoshu Tian , Xuemin (Sterling) Yan , Lingling Zheng
{"title":"The price effect of temporary short-selling bans: Theory and evidence","authors":"Haoshu Tian ,&nbsp;Xuemin (Sterling) Yan ,&nbsp;Lingling Zheng","doi":"10.1016/j.finmar.2024.100890","DOIUrl":"10.1016/j.finmar.2024.100890","url":null,"abstract":"<div><p>We develop a model of temporary short-selling bans by extending the infinite-horizon model of Scheinkman and Xiong (2003). Our model predicts that a temporary short-selling ban leads to a speculative bubble that is the highest at the beginning of the ban and gradually converges to zero. Examining the 2008 short-selling ban in the U.S., we find evidence consistent with the model’s predictions. The innovation of our empirical design is to use the financial segments of non-banned stocks as a control group for the banned financial stocks. Our results are robust across different test specifications and different samples of stocks.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":null,"pages":null},"PeriodicalIF":2.8,"publicationDate":"2024-03-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140154082","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Are fund managers rewarded for taking cyclical risks? 基金经理是否因承担周期性风险而获得回报？
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-03-01 DOI: 10.1016/j.finmar.2024.100893
Ellen Ryan
{"title":"Are fund managers rewarded for taking cyclical risks?","authors":"Ellen Ryan","doi":"10.1016/j.finmar.2024.100893","DOIUrl":"10.1016/j.finmar.2024.100893","url":null,"abstract":"<div><p>The investment fund sector has expanded dramatically since 2008, increasing the capacity for its risk-taking to generate negative spillovers. This paper provides empirical evidence for the existence of wide-spread risk-taking incentives in the investment fund sector, with a particular focus on incentives for synchronized, cyclical risk-taking which could have systemic risk implications. Incentives arise from the positive response of investors to returns achieved through cyclical risk-taking and non-linearities in the relationship between fund returns and fund flows. The fact that market discipline may not be sufficient to ensure prudent behavior among managers creates a clear case for macroprudential regulatory intervention.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":null,"pages":null},"PeriodicalIF":2.8,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139927228","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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